R packages/resources for Financial Risk Management
On Mon, 2017-10-16 at 05:43 -0500, Brian G. Peterson wrote:
On 10/16/2017 04:35 AM, Pankaj K Agarwal via R-SIG-Finance wrote:
Dear allCan someone suggest some good resources/package on Financial Risk Management based on R? I would like to use them for a graduate class i teach. Thanks in advance. Regards,Pankaj K Agarwal +91-98397-11444http://in.linkedin.com/in/pankajkagarwal/
For a book length survey treatment of packages for these topics, see? Bernhard Pfaff's excellent 'Financial Risk Modeling and Portfolio? Optimization with R, 2nd Edition'. Enrico's suggestion of the task view certainly includes 'very? specialized' resources, but also includes a number of more fundamental?resources, such as PerformanceAnalytics and rugarch.
I should also have mentioned McNeil, Frey, and Embrechts "Quantitative Risk Management" and the accompanying R package QRM. If you are a bit more specific about what topics you plan to cover, I am certain that the list could suggest more resources. Regards, Brian